Lookback Straddle (An Example)

Let us consider a lookback call option. During the lookback period the highest price of underlying asset is Smax, and the price at present is St , then the payof of this lookback call option is

Payoffcall = Smax - St

Similarly, for the lookback put option, the payof depends on the minimum price in the lookback period:

Payoffput = Smin - St

Since the lookback straddle is the kind of construction of the lookback call and lookback put options, this strategy is benefited by taking the difference of the highest and the lowest prices of underlying assets: